Robustness of quadratic hedging strategies in finance via Fourier transforms
(2016) JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 296. p.56-88
Please use this url to cite or link to this publication:
http://hdl.handle.net/1854/LU-6936134
- author
- Catherine Daveloose, Asma Khedher and Michèle Vanmaele UGent
- organization
- year
- 2016
- type
- journalArticle (original)
- publication status
- published
- subject
- keyword
- CONVERGENCE, SIMULATION, OPTION PRICES, MARTINGALE MEASURES, LEVY PROCESSES, FOLLMER-SCHWEIZER DECOMPOSITION, Robustness, Fourier transforms, Quadratic hedging, Options, Levy processes
- journal title
- JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS
- J. Comput. Appl. Math.
- volume
- 296
- pages
- 56 - 88
- Web of Science type
- Article
- Web of Science id
- 000367107200006
- JCR category
- MATHEMATICS, APPLIED
- JCR impact factor
- 1.357 (2016)
- JCR rank
- 63/255 (2016)
- JCR quartile
- 1 (2016)
- ISSN
- 0377-0427
- DOI
- 10.1016/j.cam.2015.09.005
- language
- English
- UGent publication?
- yes
- classification
- A1
- copyright statement
- I have transferred the copyright for this publication to the publisher
- id
- 6936134
- handle
- http://hdl.handle.net/1854/LU-6936134
- date created
- 2015-09-23 11:18:51
- date last changed
- 2017-09-19 11:27:19
@article{6936134,
author = {Daveloose, Catherine and Khedher, Asma and Vanmaele, Mich{\`e}le},
issn = {0377-0427},
journal = {JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS},
keyword = {CONVERGENCE,SIMULATION,OPTION PRICES,MARTINGALE MEASURES,LEVY PROCESSES,FOLLMER-SCHWEIZER DECOMPOSITION,Robustness,Fourier transforms,Quadratic hedging,Options,Levy processes},
language = {eng},
pages = {56--88},
title = {Robustness of quadratic hedging strategies in finance via Fourier transforms},
url = {http://dx.doi.org/10.1016/j.cam.2015.09.005},
volume = {296},
year = {2016},
}
- Chicago
- Daveloose, Catherine, Asma Khedher, and Michèle Vanmaele. 2016. “Robustness of Quadratic Hedging Strategies in Finance via Fourier Transforms.” Journal of Computational and Applied Mathematics 296: 56–88.
- APA
- Daveloose, C., Khedher, A., & Vanmaele, M. (2016). Robustness of quadratic hedging strategies in finance via Fourier transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 296, 56–88.
- Vancouver
- 1.Daveloose C, Khedher A, Vanmaele M. Robustness of quadratic hedging strategies in finance via Fourier transforms. JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS. 2016;296:56–88.
- MLA
- Daveloose, Catherine, Asma Khedher, and Michèle Vanmaele. “Robustness of Quadratic Hedging Strategies in Finance via Fourier Transforms.” JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS 296 (2016): 56–88. Print.